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Our earlier paper [see Ho, R. Y.-W., Strange, R., & Piesse, J. (2006). On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market. Journal of International Financial Markets, Institutions and Money, 16, 124-199] reported evidence supporting significant...
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Purpose – This paper aims to examine the pricing effects of risks conditional on market situations. Design/methodology/approach – The model used to test for the conditional pricing effects of risks is a modified version of Pettengill et al.'s cross-sectional regression model, based on Hong...
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